Izadi, Selma; Noman, Abdullah - In: Journal of Financial Economic Policy 12 (2019) 4, pp. 463-475
Purpose: The existence of the weekend effect has been reported from the 1950s to 1970s in the US stock markets. Recently, Robins and Smith (2016, Critical Finance Review, 5: 417-424) have argued that the weekend effect has disappeared after 1975. Using data on the market portfolio, they...